Over the many, many years of Oblivion, I've played pretty much everything, but my first character and the type that I always go for when I start a new game is what I like to call 'the walking lump of steel'. Kit yourself out with the biggest suit of armour and the biggest shield you can find, maybe a sword to go with that, and focus on making said massive suit of armour work really, really well. So, if making a custom class in Oblivion:
Blade, Heavy Armour, Athletics, Acrobatics, Armourer, and then two from Sneak, Conjuration, Restoration and Destruction.
Incidentally, that's the line my Fallout characters follow. A super sledge, the biggest shotgun I can find and a suit of power armour.